For everybody facing a similar problem: I think I found a workaround - might not be very elegant, but it seems to do the trick:
I put the code into the AFTER REFRESH function:
Function AFTER_REFRESH()
Dim client As New EPMAddInAutomation
Range("N28:N61").Select
client.RefreshSelectedCells
Range("P28:P61").Select
client.RefreshSelectedCells
End Function
This performs a second refresh after each refresh just for the columns where I have the EPMRetrieveData functions delivering those #RFRs
It slows the refresh down by something like a second, but I get the data I need, so thats worth the waiting time :-)
Hope this helps you when facing similar issues!
Regards, Philipp